Uncertainty in macroeconomic Assets Market: An Approach of Stochastic Portfolio

Subject Areas : Financial Knowledge of Securities Analysis

Hashem  Zare ¹ (Department of Economic, Faculty of Economic and Management, Shiraz Branch, Islamic Azad University)
Zeinab  Rezaei Sakha ² (Master's degree in Economics, Bonyad Shahid va Omur Isargaran, Fars, Shiraz)
Mohammad  Zare ³ (Master's degree in Economics, Young researchers and elite club, Shiraz Branch, Islamic Azad University)

Received: 2017-07-25 Accepted : 2017-12-02 Published : 2019-06-22

Keywords: Stock Market, Econophysic, Exchange Market, Gold market, Stochastic Portfolio,

Abstract :

Inferring and inducing among the relations for many of the phenomenas is common in most of sciences. Accordingly, econophysics experts are trying to fill the gap between microeconomics and macroeconomics to explain complex financial systems, using the statistical physics tools. Using a dynamic econometric model, the impact of exchange and gold markets shocks on the stock market is studied. The results show the more significant contribution of the foreign exchange market shocks than the gold market shocks on the fluctuations of stock market. Furthermore, this study forms an assumptive portfolio consisting of three assets including stock, exchange and gold and use random portfolio theory to analyze the risks and uncertainty. The level of uncertainty and risk is studied by using the characteristics of the Castaing, Gagne & Hopfinger distribution functions. The results indicate a high level of uncertainty and risk in the macroeconomic assets portfolio. In other words, the occurrence of financial crises in these markets is expected.

References:

*      حسینی، سید عقیل و محسن رنانی(1393). " نقد روش‌شناختی اقتصاد فیزیک و کاربرد آن در تحلیل نظام توزیعی سرمایه‌داری " مجله اقتصاد تطبیقی، شماره 1، صفحه 71-107.

*      حسینیون, نیلوفرسادات, بهنامه, مهدی  ابراهیمی سالاری, تقی. (1395). بررسی انتقال تلاطم نرخ بازده بین بازار‌‌‌‌‌های سهام، طلا و ارز در ایران. پژوهشهای اقتصادی ایران, 21(66), 123-150.

*      سینایی، حسینعلی و داوودی، عبدالله، (1388)، "بررسی رابطه شفاف سازی اطلاعات مالی و رفتار سرمایه گذاران در بورس اوراق بهادار تهران"، تحقیقات مالی، شماره 27، ص.ص60-43.

*      عباسیان، عزت الله و محمودی، وحید، فرزانگان، الهام (1389) ،"شناسایی حباب قیمتی سهام عادی بورس اوراق بهادار تهران با استفاده از مدل ارزش حال "، فصلنامه بررسی‌های حسابداری و حسابرسی، ص.ص92-75.

*      عباسی نژاد, حسین, محمدی, شاپور, ابراهیمی, سجاد. (1396). پویایی‌های رابطۀ متغیرهای کلان و شاخص بازار سهام. مدیریت دارایی و تأمین مالی, 5(1), 61-82.

*      Atef. M., and S. Sakr., (2012). "The Predictive Power of Fundamental Analysis in Terms of Stock Return and Future Profitability Performance in Egyptian Stock Market: Empirical Study". International Research Journal of Finance and Economics, Vol. 92, pp:43-58.

*      Banner, A., R. Fernholz, & I. Karatzas. (2005). "On Atlas Models of  Equity Markets". Annals of Applied Probability, 15, 2296-2330.

*      Bucsa, G., F. Govanovic, & C. Schinckus. (2011). “A Unified Model for Price Return Distributions Used in Econophysics” Physica A, Vol. 390, 3435-3443.

*      Castaing, B., Y. Gagne, & E. Hopfinger. (1990). "Velocity Probability Density Functions of High Reynolds Number Turbulence”. Physica. D: Nonlinear Phenomena, 46(2), 177-200.

*      Duffie, D. (1992). Dynamic Asset Pricing Theory. Princeton University Press:Princeton,N.J.

*      Durlauf. S., (2005). "Complexity and ٍEmpirical Economics", the Economic Journal, Vol. 115. pp:225–243.

*      Farmer. D. J., M. Shubik, & E. Smith., (2005). "Is Economics the Next Physical Science?", Physics Today, Vol. 58. pp:37–42.

*      Fernholz, R. (1999). Portfolio Generating Functions. In M. Avellaneda(ed.), Quantitative Analysis in Financial Markets. World Scientific   River Edge, NJ, US.

*      Fernholz, R., A. Karatzas, & F. Kardaras. (2005). "Finance & Stochastics". Working Paper.  Retrieved from www.worldscientific.com

*      Fernholz, R., & I. Karatzas. (2006). "Stochastic Portfolio Theory: An Overview". Working Paper. (No.24).

*      Goodness. C., (2015). “Does oil price uncertainty matter for stock returns in South Africa?”, Investment Management and Financial Innovations. Vol. 12., PP:179-188

*      Jain, A., & Biswal, P. C. (2016). Dynamic linkages among oil price, gold price, exchange rate, and stock market in India. Resources Policy, 49, 179-185.‏

*      Ibe, O. (2013). Markov processes for stochastic modeling. Newnes.‏ Obukhov, A. M. (1962). "Some Specific Features of Atmospheric Turbulence". Journal of Fluid Mechanics, Vol. 13, PP:77–81.

*      Jackman, S. (2000). "Estimation and Inference via Bayesian Simulation: An Introduction to Markov Chain Monte Carlo" American Journal of Political Science, Vol. 44, PP:369–398.

*      Jung. S., and H. L. Swinney., (2005) "Velocity ِDifference Statistics in Turbulence", Physical Review, Vol. 72, pp:1-7.

*      Karatzas, I., & C. Karatzas. (2007). "The Numeraire Portfolio and Arbitrage in Semi-Martingale Markets". Finance & Stochastic, Vol. 11., pp:447-493.

*      Karatzas, I., & Kou, S. G. (1996). On the pricing of contingent claims under constraints. The Annals of Applied Probability, Vol. 6, PP:321-369.‏

*      Mantegna, R. N., & H. E. Stanley. (2000). An Introduction to Econophysics. Cambridge: Cambridge University Press.

*      Markowitz, H. (1952). "Portfolio Selection", Journal of Finance, Vol. 7, PP: 77-91.

*      Matesanz, D., & G. J. Ortega. (2008). “A (Econophysics) NoteonVolatilityin Exchange Rate TimeSeries Entropyasa Ranking Criterion”. International Journal of Modern Physics C, Vol. 19, No. 7 pp: 1095-1103.

*      Matilla-García, M., M. R., Marín, & M. I. Dore. (2014). “A permutation entropy based test for causality: The volume–stock price relation”. Physica A: Statistical Mechanics and its Applications, 398, 280-288.

*      Moore, K., P. Sun., C. D. Vries., & C. Zhou., (2013). "The Cross-Section of Tail Risks in Stock Returns", MPRA Paper No. 45592,. Online at http://mpra.ub.uni-muenchen.de/45592/.

*      Newman. M. E. J., (2005). " Power Laws, Pareto Distributions and Zipf’s Law", Contemporary Physics, Vol. 46. pp:323–351.

*      Osbourne. M. F. M.,(1959), " Brownian  Motion in the Stock Market", Operations Research, Vol. 7. pp:145–173.

*      Plerou. V., P. Gopikrishnan, X. Gabaix, and H. E. Stanley., (2002). "Quantifying Stock-Price Response to Demand Fluctuations", Physical review, Vol. 66. pp:027104.

*      Pisarenko, V., & D. Sornette. (2006). New statistic for financial return distributions: Power-law or exponential?. Physica A: Statistical Mechanics and its Applications, Vol. 366, PP:387-400.‏

*      Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly.‏

*      Stanley. H. E., (2003). "Statistical Physics and Economic Fluctuations: Do Outliers Exist?", Physica, Vol. 318. pp:279–292